Lower AIK or lower Forecast Error?
Posted: Wed Sep 17, 2014 6:10 pm
Hi everyone,
I'm ARIMA modelling some series and I've found the following trade-off: some models give me a lower information criterion (ex: AIK) but a high forecasting error (Mean Abs. Percent Error). In oppose to that, some models give me a higher information criterion but a low forecasting error.
Which one should I choose? I'll appreciate if you could explain why.
Thanks in advance,
I'm ARIMA modelling some series and I've found the following trade-off: some models give me a lower information criterion (ex: AIK) but a high forecasting error (Mean Abs. Percent Error). In oppose to that, some models give me a higher information criterion but a low forecasting error.
Which one should I choose? I'll appreciate if you could explain why.
Thanks in advance,